Evaluation of the Welfare Effects of Different Monetary Rules during Boom and Recession Periods in the Iranian Economy

Document Type : Research Paper

Authors

Department of Economics, Shiraz University, Shiraz, Iran.

Abstract

The main objective of this research is to rank different monetary rules in Iran based on welfare, considering boom and recession periods. In this study, a stochastic dynamic general equilibrium model of new Keynesians is developed for the Iranian economy. By introducing six different monetary policy rules, the welfare effects of shocks under these rules are compared. This research answers the question of which monetary policy rule can bring about a higher level of welfare during recession and boom periods, given the structure of the Iranian economy. To address this question, the first step involved identifying recession and boom periods in the Iranian economy from 1988 to 2022 using the Hodrick-Prescott filter and the Bry-Boschan algorithm. Subsequently, using existing data from the Iranian economy, various models were estimated, and calibration of the models during the recession and boom periods was conducted using results from other studies. Finally, the welfare losses of different monetary rules during recession and boom periods were calculated, considering individual shocks as well as the simultaneous introduction of five shocks to the economy. The results of this study indicated that if five shocks (monetary policy shock, preference shock, technology shock, oil revenue shock, and global price shock) are simultaneously applied to the Iranian economy, the generalized Cabrera et al. (2011) monetary rule experiences lower welfare losses in both recession and boom periods.

Keywords

Main Subjects

Article Title [Persian]

ارزیابی رفاهی قواعد پولی مختلف طی دوره‌های رکود و رونق در اقتصاد ایران

Authors [Persian]

  • سیما شایگان مهر
  • ابراهیم هادیان
  • زهرا دهقان شبانی
  • پرویز رستم زاده
بخش اقتصاد، دانشگاه شیراز، شیراز، ایران.
Abstract [Persian]

هدف اصلی از این پژوهش رتبه‌بندی قواعد مختلف پولی در ایران بر اساس رفاه با در نظر گرفتن دوره‌های رکود و رونق است. در این پژوهش یک مدل چند بخشی تعادل عمومی پویایی تصادفی کینزین‌های جدید برای اقتصاد ایران ساخته می‌شود. سپس با معرفی 6 قاعده سیاست پولی مختلف، اثرات رفاهی شوک‌ها در این قواعد، مقایسه می‌شود. در این پژوهش به این سؤال پاسخ داده می‌شود که با توجه به ساختار اقتصاد ایران کدام قاعده سیاست پولی در دوره‌های رکود و رونق می‌تواند سطح رفاه بالاتری را به ارمغان بیاورد. در راستای پاسخگویی به این سوال، در گام نخست با استفاده از فیلتر هودریک پرسکات و الگوریتم برای-بوشان، دوره‌های رکود و رونق در اقتصاد ایران طی سال‌های 1367 تا 1401 شناسایی شدند. سپس با استفاده از داده‌های موجود در اقتصاد ایران، برآورد مدل‌های مختلف و استفاده از نتایج سایر پژوهش‌ها اقدام به کالیبره کردن مدل طی دوره‌های رکود و رونق شد. درنهایت، زیان رفاهی قواعد مختلف پولی در دوره‌های رکود و رونق با در نظر گرفتن شوک‌های منفرد و نیز وارد کردن 5 شوک به‌صورت همزمان بر اقتصاد، محاسبه شده است. نتایج این پژوهش نشان داد چنانچه به طور همزمان 5 شوک (شوک سیاست پولی، شوک ترجیحات، شوک تکنولوژی، شوک درآمد نفتی و شوک قیمت‌های جهانی) بر اقتصاد ایران وارد شود در هر دو دوره رکود و رونق قاعده پولی تعمیم‌یافته کابرا و همکاران (2011) از زیان رفاهی کمتری برخوردار است.

Keywords [Persian]

  • اثرات رفاهی
  • اقتصاد ایران
  • تعادل عمومی پویای تصادفی
  • قواعد پولی

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  • Receive Date: 04 February 2025
  • Revise Date: 28 May 2025
  • Accept Date: 28 May 2025

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